期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We develop an integrated Early Warning Global Vector Autoregressive (EW-GVAR) modelto quantify the costs and bene ts of capital-based macroprudential policy measures. Our ndings illustrate that capital-based measures are transmitted both via their impact on thebanking system's resilience and via indirect macro- nancial feedback e ects. The feedbacke ects relate to dampened credit and asset price growth and, depending on how banks moveto higher capital ratios, can account for up to a half of the overall e ectiveness of capital-based measures. Moreover, we document signi cant cross-country spillover e ects, especiallyfor measures implemented in larger countries. Overall, our model helps to understand howand through which channels changes in capitalization a ect bank lending and the wider econ-omy and can inform policy makers on the optimal calibration and timing of capital-basedmacroprudential instruments.
关键词：Macroprudential policy; cost-bene t analysis; early-warning system; GVAR
